内容

目次

Preface. Acknowledgments. Notation. List of Models. 1 An Introduction to the GAMS Modeling System. 1.1 Preview. 1.2 Basics of Modeling. 1.3 The GAMS Language. 1.4 Getting Started. Notes and References. 2 Data Management. 2.1 Preview. 2.2 Basics of Data Handling. 2.3 Data Generation. 2.4 A Complete Example: Portfolio Dedication. 3 Mean–Variance Portfolio Optimization. 3.1 Preview. 3.2 Basics of Mean–Variance Models. 3.3 Sharpe Ratio Model. 3.4 Diversification Limits and Transaction Costs. 3.5 International Portfolio Management. 4 Portfolio Models for Fixed Income. 4.1 Preview. 4.2 Basics of Fixed–Income Modeling. 4.3 Dedication Models. 4.4 Immunization Models. 4.5 Factor Immunization Model. 4.6 Factor Immunization for Corporate Bonds. 5 Scenario Optimization. 5.1 Preview. 5.2 Data sets. 5.3 Mean Absolute Deviation Models. 5.4 Regret Models. 5.5 Conditional Value–at–Risk Models. 5.6 Utility Maximization Models. 5.7 Put/Call Efficient Frontier Models. 6 Dynamic Portfolio Optimization with Stochastic Programming. 6.1 Preview. 6.2 Dynamic Optimization for Fixed–Income Securities. 6.3 Formulating Two–Stage Stochastic Programs. 6.4 Single Premium Deferred Annuities: A Multi–stage Stochastic Program. 7 Index Funds. 7.1 Preview. 7.2 Models for Index Funds. 8 Case Studies in Financial Optimization. 8.1 Preview. 8.2 Application I: International Asset Allocation. 8.3 Application II: Corporate Bond Portfolio Management. 8.4 Application III: Insurance Policies with Guarantees. 8.5 Application IV: Personal Financial Planning. Bibliography. Index.